Modeling and Generating Dependent Risk Processes for IRM and DFA

DOI10.2143/AST.34.2.505147MaRDI QIDQ5490569zbMATH OpenOpenAlexFDO

Authors Dietmar Pfeifer, Johanna Nešlehová

Publication date 4 October 2006

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.34.2.505147

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 227027 (Why is no real title available?)
• ASPECTS OF CORRELATION IN BIVARIATE POISSON DISTRIBUTIONS AND PROCESSES
• BAYESIAN ANALYSIS FOR THE SUPERPOSITION OF TWO DEPENDENT NONHOMOGENEOUS POISSON PROCESSES
• Discrete bivariate distributions with given marginals and correlation
• Inequalities for E k(X, Y) when the marginals are fixed
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios
• On a bivariate poisson distribution
• Properties and applications of the sarmanov family of bivariate distributions
• Risk management: Value at risk and beyond
• The Poisson Correlation Function

Cited in

(17)

• Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities
• Fisher dispersion index for multivariate count distributions: a review and a new proposal
• Dependence properties of bivariate copula families
• Analysis of an aggregate loss model in a Markov renewal regime
• A new bivariate Poisson common shock model covering all possible degrees of dependence
• On a multivariate Pareto distribution
• A form of multivariate Pareto distribution with applications to financial risk measurement
• An invitation to coupling and copulas: with applications to multisensory modeling
• Multivariate insurance models: an overview
• Multivariate risk processes with interacting intensities
• Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
• Multivariate Tweedie distributions and some related capital-at-risk analyses
• A bivariate geometric distribution via conditional specification: properties and applications
• A multivariate Poisson model based on comonotonic shocks
• Modeling, simulation and inference for multivariate time series of counts using trawl processes
• Finite normal mixture copulas for multivariate discrete data modeling
• Copula modeling for discrete random vectors

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